Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Finance and Financial Management
Is Regime Switching In Stock Returns Important In Portfolio Decisions?, Jun Tu
Is Regime Switching In Stock Returns Important In Portfolio Decisions?, Jun Tu
Research Collection Lee Kong Chian School Of Business
The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, …
Should Individual Investors Use Technical Trading Rules To Attempt To Beat The Market?, Thomas S. Coe, Kittipong Laosethakul
Should Individual Investors Use Technical Trading Rules To Attempt To Beat The Market?, Thomas S. Coe, Kittipong Laosethakul
WCBT Faculty Publications
Problem statement: Despite widespread academic acceptance of the Efficient Markets Hypothesis, some stock traders still use technical trading rules in an attempt to beat the market. Approach: This study looked at four trading rules, namely, the arithmetic moving average, the relative strength index, a stochastic oscillator and its moving average. These trading rules compare the relationship of current prices to past price patterns to generate a signal when to buy and sell stocks. The trading rules were tested over the years 2000-2009, a period of time that exhibited bull and bear markets, to determine if traders could actively …
Is Regime Switching In Stock Returns Important In Asset Allocations?, Jun Tu
Is Regime Switching In Stock Returns Important In Asset Allocations?, Jun Tu
Research Collection Lee Kong Chian School Of Business
The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year, and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, …